欧盟碳排放权交易市场价格发现的实证研究

Empirical Research on Price Discovery of European Cabon Emission Market

通过建立向量自回归模型,利用协整检验、格兰杰因果检验等计量方法对欧盟碳排放权交易市场主要商品的期货价格与现货价格关系进行实证分析,以检验碳期货市场是否具备传统期货市场的价格发现功能。结果表明,EUA和CER各自的期货价格和现货价格之间存在长期均衡关系;EUA和CER各自的期货价格与现货价格之间具有相互影响的关系。EUA的期现货价格各自互为格兰杰原因,说明配额交易机制下的欧盟碳排配额的期货现货价格相互引导。而CER期货价格是现货价格的格兰杰原因,现货价格不是期货价格的格兰杰原因。这对于研究碳交易市场的运行效率,以及中国将来建立碳期货交易所都具有一定的意义。

This papter conducts the empirical analysis the relationship between the futures price and the spot price of key commodities from carbon trading market with the help of quantitative research methods like VAR models,cointegration test and Granger causality test,etc.And it tests whether the carbon futures market has got the traditional price discovery function which is the characteristic of traditional futures market.It has certain reference significance for study of the effectiveness of carbon emissions trading market,and the establishment of China’s future carbon emissions trading market.